Risk Aversion Versus Intertemporal Substitution
解释为何风险厌恶参数和跨期替代弹性估计值差异巨大，指出原因是资产回报和消费增长难以预测导致参数几乎无法识别，而非工具变量无效。
AbstractIs the risk-aversion parameter in the intertemporal consumption capital asset pricing model “small” as stated by Hansen and Singleton or is its reciprocal—the intertemporal elasticity of substitution—small, as stated by Hall? We attribute the disparate estimates of this fundamental parameter not to failures of instrument admissibility as do Hall and Hansen and Singleton but rather to failures of instrumentrelevance. That is, the disparate estimates reflect near nonidentification due to the unpredictability of asset returns and consumption growth. Imposing natural identifying restrictions from the risk-aversion perspective and the intertemporal substitution perspective yields low and stable estimates in each case.KEY WORDS: Consumption-based asset pricingElasticity of substitutionMaximum likelihood estimationTime series analysisTwo-stage least squares